The international asset pricing models are mostly developed in the case of parity failure (investors of different countries do not agree on the expected returns on securities). In this case, an equilibrium in the in- ternational asset markets may exist, but not in the international good markets....

We use a regime-switching model approach to investigate the dynamic linkages between the exchange rates and stock market returns for the BRICS countries (Brazil, Russia, India, China and South Africa). The univariate analysis indicates that stock returns

The paper analyses the time-varying conditional correlations between stock markets and oil

This paper shows the usefulness and relevance of the multivariate fractional cointegration in exploring the dynamic

This paper provides further evidence of the co-movements and dynamic volatility spillovers between stock markets and oil prices for a sample of four oil-exporting countries (United Arab Emirates, Kuwait, Saudi Arabia and Venezuela). We make use of a multivariate GJR-DCCGARCH approach developed...

This paper aims to explore the links between Brent crude oil index and stock markets index in OECD countries. We estimate time-varying conditional correlation relationships among these variables by employing a Multivariate Fractionally Integrated Asymmetric, Power ARCH model with dynamic...

This paper aims to explore the links between Brent crude oil index and stock markets index in OECD countries. We estimate time-varying conditional correlation relationships among these variables by employing a Multivariate Fractionally Integrated Asymmetric, Power ARCH model with dynamic...

This paper aims to explore the links between Brent crude oil index and stock markets index in OECD countries. We estimate time-varying conditional correlation relationships among these variables by employing Engle’s (2002) Dynamic Conditional Correlation (DCC). This process detects...

This article investigates the dynamics of regional financial integration and its determinants in an international setting. We test a conditional version of the international capital asset pricing model (ICAPM) accounting for the deviations from purchasing power parity (PPP) as well as temporal...

In this paper, we investigate whether or not nominal devaluation leads to real devaluation in Laos by using the ARDL bounds testing and the Granger causality test in a VECM framework. Our empirical evidence shows that nominal devaluation Granger causes real devaluation in short run and long run....